PHUENSANE, PONGSUTTI (2016) Essays on the Microstructure of Informed Trading and Hidden Orders in Futures Markets. Doctoral thesis, Durham University.
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Abstract
The thesis seeks a better understanding of the market microstructure topic, evaluates an informed trading measurement tool that is available for econometricians, and attempts to measure the impact of the presence of hidden liquidity to market quality. The two favorable prevailing informed trading detection, PIN, and VPIN models are used to investigate the informed trading activity around LIBOR manipulation in the LIBOR reference futures market- Eurodollar futures. These two models show a significant performance as an early warning system, however, there is not statistically significant differences relative to the event in the long-run variation.
In addition to the chapter seven of this thesis, I examine the relationship between market quality and hidden liquidity, uncovering a strong positive effect from hidden order to market quality proxies.
| Item Type: | Thesis (Doctoral) |
|---|---|
| Award: | Doctor of Philosophy |
| Keywords: | Market Microstructure, Informed Trading, PIN, VPIN, High Frequency Trading Data, Hidden Order |
| Faculty and Department: | Faculty of Social Sciences and Health > Economics, Finance and Business, School of |
| Thesis Date: | 2016 |
| Copyright: | Copyright of this thesis is held by the author |
| Deposited On: | 17 Oct 2016 10:14 |
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